Eric Marsden has added support for standalone executables to CMUCL:

It can be useful to be able to deliver an application developed with CMUCL as a single file, that looks like a native executable and only has runtime dependencies on the platform's standard shared libraries. [though this is less useful than many newcomers to Lisp seem to think, in my opinion.]

I have implemented this capability for CMUCL on Linux and Solaris, by piggybacking the lisp image in an ELF section of the runtime. On startup, the runtime looks inside itself to see whether it has an image in its belly, and if so it extracts it to a temporary file. That file is mapped into memory as usual, and is deleted when CMUCL exits.